Guide to the New Trading System

MIT201 · MIGRATION TO MILLENNIUM EXCHANGE Guide to the New Trading System Issue 7.3 · 14 February 2011 Contents Contents .............................
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MIT201 · MIGRATION TO MILLENNIUM EXCHANGE

Guide to the New Trading System Issue 7.3 · 14 February 2011

Contents Contents ................................................................................ 2 Disclaimer ............................................................................ 5 1. Introduction ........................................................................ 6 1.1. Purpose ...................................................................... 6 1.2. Relevant Exchange communication channels .......................... 7 1.3. Readership ................................................................... 8 1.4. Backwards compatibility .................................................... 8 1.5. Document series ............................................................ 9 1.6. Document history ......................................................... 10 1.7. Enquires .................................................................... 11 2. Customer Interfaces............................................................ 12 2.1. Overview ................................................................... 12 2.2. Message workflow ........................................................ 15 2.3. Time synchronisation ..................................................... 16 2.4. Reference Data Service .................................................. 17 2.5. Technical details .......................................................... 17 3. User Configuration ............................................................. 18 3.1. Structure ................................................................... 18 3.2. Firm ......................................................................... 19 3.3. Node ........................................................................ 19 3.4. User ......................................................................... 19 3.4.1. TraderGroups for FIX Connections ................................ 19 3.4.2. TraderGroups for Native connections ............................. 20 3.4.3. FIX Connection Users ............................................... 21 3.4.4. Native connection Users ............................................ 21 3.5. Connection security ....................................................... 21 3.6. Example configuration .................................................... 22 3.7. Cancel on disconnect / logout ........................................... 24 3.8. Message throttling ........................................................ 24 3.9. SETS Internaliser ......................................................... 25 4. Market Structure ................................................................ 26 4.1. Market configuration ...................................................... 26 4.2. Business categorisation of securities ................................... 28 4.3. Technical operation parameters ........................................ 29 4.4. Trading Sessions.......................................................... 32 4.5. Symbology ................................................................. 33 5. Orders and Quotes ............................................................. 34 5.1. Order types ................................................................ 34 5.2. Order entry fields .......................................................... 36 5.3. Time in Force .............................................................. 38 5.4. Order / Time In Force combinations .................................... 40 5.5. Price Format Code (“tick size”) .......................................... 40 5.6. Content of quotes ......................................................... 41 2

5.7. Order book priority ........................................................ 41 Order Behaviour ................................................................ 42 6.1. Mid Price Pegged Orders ................................................ 42 6.2. Stop and Stop Limit Orders .............................................. 42 6.3. Iceberg Orders ............................................................ 45 6.3.1. Modification of an Iceberg Order .................................. 46 6.4. Order management ....................................................... 47 6.4.1. Order modification ................................................... 47 6.4.2. Exchange deletion of orders ....................................... 47 6.4.3. Authorised Persons List (Exchange Rule 1500) ................. 48 6.4.4. Market Orders and first day of trading ............................ 48 6.4.5. Specifying ClOrdID .................................................. 48 6.5. Standing Value ............................................................ 48 7. Order Book Execution ......................................................... 49 7.1. Auctions .................................................................... 49 7.1.1. Market order extension ............................................. 50 7.1.2. Price monitoring extension ......................................... 50 7.1.3. Uncrossing algorithm ................................................ 50 7.2. Continuous trading price monitoring .................................... 50 7.3. Detailed thresholds ....................................................... 51 7.4. Contra of automatic trade reports (Exchange Rule 2110) ........... 52 7.5. Use of trade identifiers for transaction reporting ...................... 52 8. Off Book Trade Reporting ..................................................... 53 8.1. Trade reports (Exchange Rule 3040)................................... 53 8.1.1. Dealing capacity (Exchange Rule 2102).......................... 54 8.1.2. Other trade report criteria ........................................... 54 8.2. Amending / cancelling manual trade reports .......................... 55 9. Additional Services ............................................................. 56 9.1. Drop Copy.................................................................. 56 9.2. Own Order / Trade Book Download .................................... 56 10. Recovery Model .............................................................. 57 10.1. Connection .............................................................. 57 10.1.1. FIX Recovery ...................................................... 57 10.1.2. Native Recovery .................................................. 58 10.2. Disaster recovery site .................................................. 58 10.3. Exchange market intervention ........................................ 59 10.3.1. Live Service Portal ................................................ 59 10.3.2. Market situation options (Exchange Rule 1520) .............. 60 11. Service Interruptions Protocol .............................................. 61 11.1. Overarching Principles................................................. 61 11.2. Different Types of Outage ............................................. 61 11.3. Assessment & Response.............................................. 62 11.4. Market Interventions ................................................... 62 11.4.1. Pause ............................................................... 62 11.4.2. Halt.................................................................. 63 11.4.3. Market / Partition Suspension ................................... 63 11.4.4. Halt & Close ....................................................... 63

6.

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11.5. 11.6. 11.7. 11.8. 11.9.

Alternative Site Procedures ........................................... 63 Resumption of Trading ................................................ 64 Trade Reporting ........................................................ 64 Closing Prices & Indices ............................................... 64 Communication ......................................................... 66

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Disclaimer The London Stock Exchange Group has taken reasonable efforts to ensure that the information contained in this publication is correct at the time of going to press, but shall not be liable for decisions made in reliance on it. The London Stock Exchange Group will endeavour to provide notice to customers of changes being made to this document, but this notice cannot be guaranteed. Therefore, please note that this publication may be updated at any time. The information contained is therefore for guidance only.

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1. Introduction Following the acquisition of MillenniumIT, the London Stock Exchange is embarking on a programme of change that will see the Group’s equity markets migrate from the current TradElect / Infolect platform to Millennium Exchange – the multi-asset class, ultra-low latency platform of MillenniumIT. The first phase of this transition will be the migration of the London Stock Exchange’s cash market in early 2011. One of the principal features of the transition will be the replacement of the existing TradElect trading system with Millennium Exchange. It is anticipated that this will require participants to make a number of technical changes to their existing trading systems.

1.1. Purpose The purpose of this document is to replace the current Guide to TradElect and provide participants with: •

a high level technical overview of the following areas: o o o



customer facing trading interfaces to the new Millennium Exchange trading system (both FIX 5.0 and Native); user and market configuration; disaster recovery; and

generic operation of the Trading Services provided by Millennium Exchange.

The detailed operation of each Trading Service is governed by the specific configuration of Millennium Exchange and summarised in the Millennium Exchange Business Parameters document. Both this document and the Business Parameters Document should be read in conjunction with the Rules of the London Stock Exchange. Technical details of the new information system and the approach to customer testing are covered in Technical Parameters document as well as the associated Technical Specifications and Release Notes.

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1.2. Relevant Exchange communication channels •

Rules of the London Stock Exchange The full current Rules of the London Stock Exchange in force can be found at: http://www.londonstockexchange.com/traders-and-brokers/rulesregulations/rules-regulations.htm Changes to the Rules of the Exchange and other key regulatory announcements are made by Stock Exchange Notice.



Stock Exchange Notices To sign up to E-mail notification of future Stock Exchange Notices and view the library of previous ones please see: http://www.londonstockexchange.com/traders-and-brokers/rulesregulations/change-and-updates/stock-exchange-notices/2010/home2010.htm



Service Announcements Live Service changes and other trading and information product news is notified by Service Announcements. To sign up to E-mail notification of

future Service Announcements and view the library of previous ones please see: http://www.londonstockexchange.com/products-and-services/technicallibrary/service-announcements/service-announcements.htm



Live Service Portal The current system status of the Exchange’s services are displayed on its Live Service Portal. This is the mechanism for the Exchange communicating any market intervention actions it takes as result of a service interruption. Participants can also register to receive both SMS text and E-mail notification of status changes of the portal which can be found at: http://liveservice.londonstockexchangegroup.com/en/

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Trading Services webpage More details of the Exchange’s Trading Systems, including where this document and the Millennium Exchange Business Parameters document will be found following go-live can be seen at: http://www.londonstockexchange.com/tradingservices



Trading database tools To help you keep your trading database synchronised on a real time basis, you may wish to subscribe to either the Datasync Email Service or the Datasync Daily Tradable Instrument Report (DTI). To find out more please see: http://www.londonstockexchange.com/products-and-services/referencedata/datasync/datasync.htm Tel: +44 (0)20 7797 1220, STX: 31220 Email: [email protected]

1.3. Readership This document outlines the Trading Services available on Millennium Exchange and highlights the key differences to the existing provision on TradElect. When read in conjunction with the message specifications it is intended that these documents provide the information that participants require to develop to the new services. This document is particularly relevant to trading, compliance and technical staff within the Exchange’s member firms and software providers.

1.4. Backwards compatibility Where possible, all existing TradElect functionality will be provided by Millennium Exchange. However, in some cases there will be differences. Where these differences exist then this will be described in this document. The current TradElect fixed width interface will not be supported by Millennium Exchange. The Exchange will now standardise on FIX 5.0 SP2 and a new native interface for all trading connections. A new interface will also be introduced for trading reference data. 8

1.5. Document series The current series of documents are set out below:



Trading o MIT201 - Guide to New Trading System (this document) o MIT202 – Trading Gateway (FIX 5.0) Specification o MIT203 – Native Trading Gateway Specification o MIT204 – Post Trade Gateway (FIX 5.0) Specification o MIT205 – Drop Copy Gateway (FIX 5.0) Specification



Market Data o MIT301 - Guide to Market Data Services o MIT302 – FIX/FAST Message Specification o MIT303 – ITCH Message Specification o MIT304 - Regulatory News Service Specification



MIT401 - Reference Data Service Specification



MIT501 – Guide to the Customer Testing Services



MIT502- Guide to Application Certification



MIT503- Certification Report



MIT601- Guide to Trading Services Disaster Recovery



Millennium Exchange Business Parameters



Trading Technical Parameters



Market Data Technical Parameters

These documents can be found at: http://www.londonstockexchange.com/products-and-services/millenniumexchange/technicalinformation/technicalinformation.htm This series does not override or supersede the Rules of the London Stock Exchange, the AIM Rules or Admission and Disclosure Standards.

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1.6. Document history This document has been through the follow iterations:

Issue

Date

Description

1.0

1 February 2010

First issue of this document published via the Exchange’s website and distributed to participants

2.0

29 March 2010

Second issue of this document published via the Exchange’s website and distributed to participants

3.0

30 March 2010

Third Issue – Aggressive / Passive Indicator was incorrectly described as being on the Native / FIX Execution Report

4.0

2 May 2010

Fourth issue of this document published via the Exchange’s website and distributed to participants

5.0

21 June 2010

Fifth issue of this document published via the Exchange’s website and distributed to participants

6.0

20 September 2010

Sixth issue – further clarification to functionality added where necessary

7.0

1 December 2010

Seventh issue – extended following release of Stock Exchange Notice N26/10

7.1

19 January 2011

Revision of seventh issue - Minor text changes

to improve clarity 7.2

8 February 2011

Revision of seventh issue to incorporate new section on Service Interruptions Protocol

7.3

14 February 2011

Minor text changes.

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1.7. Enquires Technical enquiries Please contact either Client Technology Services (UK) or your Technical Account Manager if you have any questions about the Millennium Exchange services outlined in this document: Client Technology Services (UK) can be contacted at: •

Telephone: +44 (0)20 7797 1500



Email: [email protected]

Trading Services enquiries Enquiries in connection with the Exchange’s business operation of its Trading Services should be E-mailed to: [email protected]

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2. Customer Interfaces In the interest of increased performance and flexibility a new approach to customer interfaces will be introduced which is described below.

2.1. Overview The following interfaces and protocols will now be available to participants (illustrated in Figure 1) •

Trading Interface order / quote entry and immediate confirmation of automated trades



Post Trade Interface ‘Enriched’ trade confirmation of automated trades (including cancellations)1 Off Book Trade Reporting Own Trades Book Download (OTBD)



Drop Copy Interface ‘Copy To’ functionality Own Order Book Download (OOBD)



Reference Data Service

With the introduction of Millennium Exchange the Exchange will standardise on FIX 5.0 SP2 for all of the above customer interfaces with the exception of Reference Data Service2. In addition a new fixed width Native interface will be introduced for the Trading Interface only (N.B. Firm Quote entry is not supported on Native). Participants will connect to each interface via a FIX or native Gateway, depending on the functionality they require. • • • •

1 2

FIX Trading Gateway Native Trading Gateway FIX Post Trade Gateway FIX Drop Copy Gateway

Including any Exchange initiated cancellations Will be supported via FTP and SFTP 12

Figure 1 – Customer Interfaces

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Table 1 – Functional messages supported

Interface

Direction

Functional messages supported

FIX Trading

Message Group FT

Inbound (to Exchange)

D - New Order Single F - Order Cancel Request q - Order Mass Cancel Request G - Order Cancel/Replace Request S - Quote Z - Quote Cancel

FIX Trading

FT

Outbound (from Exchange)

8 - Execution Report 9 - Order Cancel Reject r - Order Mass Cancel Report AI - Quote Status Report b - Mass Quote Acknowledgement

Native Trading3

NT

Inbound

D - New Order Single F - Order Cancel Request q - Order Mass Cancel Request G - Order Cancel/Replace Request S – Quote M – Missed Message Request

Native Trading

NT

Outbound

8 - Execution Report 9 - Order Cancel Reject r - Order Mass Cancel Report N –Missed Message Request Acknowledgement P – Missed Message Report

Post Trade

PT

Inbound

AE - Trade Capture Report

Post Trade

PT

Outbound

AR - Trade Capture Report Acknowledgement

Post Trade

OT

Inbound

AD - Trade Capture Report Request BW - Application Message Request

Post Trade

OT

Outbound

AQ - Trade Capture Report Request Acknowledgement AE - Trade Capture Report BX - Application Message Request Acknowledgement

Drop Copy

DC

Outbound

8 - Execution Report

Drop Copy

OB

Inbound

AF - Order Mass Status Request

Drop Copy

OB

Outbound

8 - Execution Report

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Note – for consistency FIX message identifiers are used on the Native Interface. However, format and content of the messages are different. 14

2.2. Message workflow Participants must use the Trading Interface (FIX or native) to send order and quote messages to Millennium Exchange via configured Users. In response, Millennium Exchange will send Execution Reports over the interface used giving the status of the order / executable quote. Should a trade occur then the order/ quote status will be immediately updated by an Execution Report4 sent from the Trading Interface over the participant connection that sent in the order / quote. In addition to order status the Execution report will summarise the details of the trade and provide the following information: • • • • • • •

Side Trade Quantity Trade Price Counterparty to the Trade Trade ID Transaction Time Aggressive / Passive Indicator

In addition, an ‘enriched’ Trade Capture Report will be sent via the Post Trade Interface. This will include the trade details specified in the Execution Report as well as the following information: • • • •

ISIN Matching Type (Continuous Trading or Auction) Clearing Type (is the trade cleared or not) Novated Indicator5

This means that participants will receive two messages notifying them of the trade. They will be free to choose which message to act on before submitting the next message. For the implications of this on the recovery model please see Section 10. Participants will be able to link the Execution Report and Trade Capture Report using either the ExecID or ClOrdID tags.

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Note – for Executable Quotes two Execution Reports will be sent – one for each side of the Quote 5 Indicates if a trade is internalised or not 15

Participants should note: • • • • •







In normal circumstances the Trade Capture Report will be delivered after the Execution Report. Execution Reports will be sent to the CompID that sent the order or quote Customers have the option to cancel at firm level so a "master" CompID could cancel all orders entered for the firm by all other CompIDs. Orders / quotes sent via one CompID cannot be modified or cancelled using another CompID (with the exception of “master” CompID cancellations). A new cancel on disconnect facility has been provided as a means of managing orders if a session is lost. See Section 3.7 Cancel on disconnect / logout for more details. A Post Trade / Drop Copy User can be configured to receive all Trade Capture Reports / Execution Reports for the Firm, or selected CompID / UserID. Additionally, a Post Trade User can also be configured to receive all Trade Capture Reports for selected CompID / UserID under a different Firm. Customers are recommended to have a separate connection to the Post Trade Gateway for Off Book Trade Reporting, Real Time Trade Capture Reports and the OTBD service. Where a customer is using ‘Copy To’ functionality, a separate connection to the Drop Copy Gateway will be required over and above that used to support the OOBD service.

2.3. Time synchronisation As per the FIX standard, all times on FIX trading messages must be specified in UTC on all interfaces. Customers are recommended to use the Sending Time in the FIX logon message sent by Millennium Exchange to synchronise system clocks.

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2.4. Reference Data Service Reference data will now be managed by a new Reference Data Service that will provide instrument reference data to participants in a new ‘flat file’ format and available via FTP. Full details of the interface are specified in MIT401 – Guide to Reference Data Services. In addition to the flat file a subset of reference data will be available via the Market Data feed each morning: • • • • • • • •

Symbol (unique identifier) Instrument status ISIN SEDOL Segment Issuer code Previous Closing Price ISIN of underlying instrument (if relevant)

Full details are provided in MIT301 – Guide to Market Data Services

2.5. Technical details Technical details of all interfaces are provided in the following documents: • • • • •

MIT202 - Trading Gateway (FIX 5.0) Specification MIT203- Native Trading Gateway Specification MIT204 - Post Trade Gateway (FIX 5.0) Specification MIT205 - Drop Copy Gateway (FIX 5.0) Specification MIT401 – Guide to Reference Data Service

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3. User Configuration A new, more flexible, approach will be taken to the configuration of participants on Millennium Exchange. The Exchange will work closely with customers to agree a configuration that meets requirements but the following sections are provided for background. Details of how self executions can be excluded from clearing & settlement (SETS Internalisation) are also provided.

3.1. Structure Generically, a 3-tier hierarchy will be introduced consisting of Firm, Node and User. Each User will have an associated Role. Figure 2 – User hierarchy

Each level in the hierarchy is described in the following sections.

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3.2. Firm A Firm represents the highest level when depicting a participant and is intended to represent the membership under which business is routed to the Exchange. The Firm is identified by a unique Member ID. No technical or business enablement will be held against a firm and there is a one to many relationship between Firm and Node.

3.3. Node A Node represents a logical grouping of Users (see below), this is a new concept that forms part of the core Millennium Exchange product. A Node by itself has no technical meaning but allows customers a degree of further classification/segmentation within their business, for example a firm with different clearing arrangements can segment its business accordingly. Once a Node is created all Users falling under that Node inherit the same configuration. To simplify the logistics of the migration an individual NodeID (which represents a Node) will be allocated by the Exchange to all users. Following go-live of the UK cash markets on Millennium Exchange firms will be able to create new NodeIDs to suit their business requirements (after a suitable change freeze period).

3.4. User A User represents a generic business or technical enablement, such as a trading desk or a FIX Gateway. The exact type of User is defined by the associated Role. The same User can only be configured under one node. The User can only have one of the Roles outlined below. 3.4.1. TraderGroups for FIX Connections This Role enables the User as a ‘Trading User’ which represents an identifiable trading entity such as trading desks, automated trading applications or individuals. On the Fix interface Trading Users correspond directly to the TradElect concept of TraderGroup. Specific enablements such as the ability to enter orders or the ability to market make will be controlled by attributes of the Trader Role associated with the TraderGroup. TraderGroups do not connect directly to Millennium Exchange. One or more FIX Users must be configured which then send the appropriate trading messages to the 19

Exchange on behalf of TraderGroups. Participants should note that all FIX Users under a particular node can send messages on behalf of all TraderGroups under the same node. Likewise a FIX User under one particular node cannot send messages on behalf of TraderGroups under other nodes. Participants can continue to identify orders using TraderID6 but no permissions or configuration will be held against this identifier. TradeID will be returned in Execution Reports and Trade Capture Reports. It should also be noted that orders on the book are effectively ‘owned’ not by the TraderGroup, but the CompID that was used to submit the order (see the following sections). 3.4.2. TraderGroups for Native connections Participants should note that Users on the native interface are connected and identified via UserIDs. Existing TraderGroups can be used interchangeably as UserIDs for all Native Trading connections. Native UserIDs are used to denote a single connection to Millennium Exchange and as such individual User/TraderGroups are not transferrable across multiple connections. Member firms are advised that TraderGroups must follow a specific structure:• • • •

Either eight numbers or eleven characters Alphanumeric only They must not end in 1234 or trailing XXXXs We encourage member firms to utilise trader groups that relate wherever possible to the company name

This structure ensures that TraderGroups pass through trading and post trade validation. Any existing TraderGroups that do not currently follow this structure will be migrated to Millennium Exchange, except where a special character exists, member firms have already been contacted to make changes to these codes. Any new requests for TraderGroups will be validated by the Exchange. Any questions, please contact Client Implementation on +44 (0) 207797 3232.

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Specified in the FIX message using Tag 448 – PartyID with Tag452 – Party Role set to 12 20

3.4.3. FIX Connection Users These Roles enable the user as a ‘FIX User’ which represents a discrete FIX connection to a specified Millennium Exchange FIX Gateway. Each of the FIX Gateways will have a Role associated with them to enable the following User Types to be defined. • • • • •

FIX Trading Gateway User FIX Post Trade Gateway User – Real Time Enriched Trade Reports and Off Book Trade Reporting FIX Post Trade Gateway User – Own Trade Book Download FIX Drop Copy User – Real Time Execution Reports FIX Drop Copy User – Own Order Book Download

Each FIX Users will be identified by a unique FIX CompID and can be only one of the above types. For Own Trade Book and Own Order Book downloads the Trader Groups for which the requests are made must be permissioned for each FIX CompID making the request. 3.4.4. Native connection Users As set above Native connections are identified via the UserID. Only the Native Trading Gateway User will be supported TraderGroups will be used as the UserID for all Native Trading connections. To avoid clearing and settlement failures for cleared securities these need to be as per the clearing static data form. It should also be noted that orders on the book are effectively owned by the UserID that was used to submit the order.

3.5. Connection security Following the FIX standard, Message Authentication will not be supported on Millennium Exchange. However, each CompID will be assigned a password on creation that must be specified in the first logon message. Participants will be required to change the default password on first logon. Following the first logon participants can manage passwords using the Logon message. Customers will now not be required to change passwords after a configurable number of days.

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3.6. Example configuration Participants can have any number of trading nodes or trading groups on request. An example configuration for a typical trading participant for illustrative purposes is illustrated in Figure below. Participants can discuss individual Test and Live configurations with the Exchange.

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Figure 3 – Example configuration

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3.7. Cancel on disconnect / logout As part of the transition to Millennium Exchange a new cancel on disconnect and cancel on logout facility will be provided. A disconnect is defined as a drop in the TCP session between the participant and Millennium Exchange, whether due to either party. Cancel on disconnect / logout is configured for a CompID/UserID. Should the FIX / Native Trading Gateway associated with that CompID disconnect, then all orders / Executable Quotes entered under that CompID/UserID will automatically be deleted by Millennium Exchange. Participants can individually have a ‘wait’ period configured by which the system will wait a defined length of time before deleting orders / quotes. Where a CompID/UserID has been opted in, if required, customers can elect to specifically exclude GTD orders from this automatic deletion process. On reconnection, Millennium Exchange will send Execution Reports for the deleted orders and Quote Status messages for the deleted Executable Quotes.

3.8. Message throttling In order to safeguard Millennium Exchange against ‘abnormal’ participant behaviour each User/CompID enabled for access to the Native and FIX Trading Gateways will not be allowed to exceed a specified message throughput determined by the Exchange. Every message sent by a participant that means that the maximum message rate of a User/CompID is exceeded (over a second period) will be rejected via a Business Message Reject for FIX and a Reject message for the Native Trading interface, A User/CompID will be disconnected by the Trading Gateway if its message rate exceeds its maximum rate more than a configurable number of times in any 30 second duration. In such a case, the server will transmit a Logout message and immediately terminate the TCP/IP connection. The maximum throughput of each participant's User/CompID will be agreed with the Exchange.

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3.9. SETS Internaliser The concept of SETS Internaliser will continue to be supported on Millennium Exchange by which participants may elect that any trades between specified Trading Users within the same firm will not be sent downstream to Clearing and Settlement. From the introduction of Millennium Exchange as well as the service supporting SETS and cleared SETSqx securities, it is planned to be expanded to cleared International Order Book securities too. A trade will be internalised if: • The Instrument is eligible for SETS Internalisation. • The Trading User on each side of the trade are in the same internalisation group (a participant defined set of Trader Groups) • Each side of the trade has the dealing capacities Principal or Riskless Principal • Each side of the trade has the same clearing account type (i.e. House or Client). Such trades will be identified as internalised trades by setting the Novated Indicator (Custom Tag 20111) to 0 on Trade Capture Reports sent by the Post Trade FIX Gateway. Two Trade Capture Reports will be sent, one for each side of the trade. On each Trade Capture Report the counterparty will be specified as the Firm on the opposite side of the trade, not the CCP. Likewise, Execution reports will also have the counterparty specified as the Firm on the opposite side of the trade. To opt into SETS Internaliser a member firm should the Client Implementation Team at the Exchange: •

[email protected]



+44 (0) 20 7797 3232

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4. Market Structure The same trading services will continue to be supported on Millennium Exchange following the transition, with identical market functionality.

4.1. Market configuration Millennium Exchange will continue to support the same Trading Services as today with the exception of the Order Book for Retail Bonds which will continue to operate on TradElect until a later migration. All off book trade reporting including the Order Book for Retail Bonds will be provided by Millennium Exchange. The table overleaf provides a summary.

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Table 2 – Trading Services (London time) Trading Service SETS

Description Order book with Executable Quotes

Securitised Derivatives SETSqx – with Market Makers

Order book with Executable Quotes Non electronicallyexecutable quotes (Firm Quotes) with electronic order book auctions at 8am, 11am, 3pm & 4:35pm Electronic order book auctions at 8am, 11am, 3pm & 4:35pm Non electronicallyexecutable quotes (Firm Quotes) Non electronicallyexecutable quotes (Firm Quotes)

SETSqx –no Market Makers SEAQ

Fixed Interest (SEAQ)

Coverage FTSE100, FTSE250 and the FTSE Small Cap Index constituents as well as other liquid AIM, Irish and London secondary listed securities Covered Warrants and other structured products Main Market securities not traded on SETS or less liquid AIM securities that have registered Market Makers

Main Market securities not traded on SETS and AIM securities that are not supported by a registered Market Maker Less liquid AIM securities with at least 2 market Sterling bonds & convertibles with market maker support

Fixed Interest (trade reporting only) Gilts Trade Reporting only

trade reporting only

Non UK Government debt with no market maker support

trade reporting only trade reporting only

UK Government debt Non-MIFID, miscellaneous securities with no market maker support

European Quoting Service

Non electronicallyexecutable quotes (Firm Quotes)

European Trade Reporting

Off Book Trade Reporting

International Order Book Order book for Retail Bonds

Order book

All Liquid EU Regulated Market securities (as defined by MiFID and excluding those traded on SETS and SETSqx) Trade reporting service for MiFID securities that are defined as non-liquid and are not on SETS or SETSqx International depositary receipts

Order book with Executable Quotes remains on TradElect. Trade Reporting only on Millennium Exchange

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Selection of UK debt denominated in retail size

4.2. Business categorisation of securities From a business perspective an individual instrument is assigned to a grouping known as a trading sector. A collection of trading sectors are grouped together to form a trading segment. A specific Trading Service is a number of trading segments that share the same market model. The Millennium Exchange Business Parameters Document maps these exact groupings and allows us to lay down specific criteria and thresholds that operate at each specific grouping level. The Trading Services Breakdown tab of Millennium Exchange Business Parameters Document shows at a Trading Service Level: • • • • •

trading hours publication & settlement regime basis of opening & closing prices trade reporting, mandatory periods, auction timing structure of price monitoring and market order extensions

The Sector Breakdown tab of the Millennium Exchange Business Parameters Document shows at a trading sector level: • • • • •

which trading segment and therefore which Trading Service a trading sector belongs to whether sector belongs to a Regulated Market or MTF order & trade types allowed specific ruling price monitoring and maximum spread thresholds size of any minimum order size

Other tabs of the Millennium Exchange Business Parameters Document show: • • • •

selection criteria between SETS and SETSqx the defined price format codes (tick sizes and trading currencies in operation for each trading segment) the detail of the delay regime in place for equity, International Order Book, Exchange Traded Funds and Exchange Traded Products minimum size of a hidden order by trading segment

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4.3. Technical operation parameters The sectorisation documented above has been maintained to ease transition to Millennium Exchange and to maintain categorisations from an Exchange Rules and wider regulatory perspective that are not specifically relevant to the trading system. Trading segments and trading sectors are not key fields for Millennium Exchange trading message entry. They will however, continue to be defined and provided via the Reference Data Service. In Millennium Exchange, instruments are technically structured as follows: •

Each instrument will be assigned to a Market and Segment.



Markets are allocated a Time Zone and associated Calendar



Instruments will have specified trading and post trade parameters assigned that dictate how the instrument is traded



A Trading parameter consists of session parameters and a price tick table



A Post Trade parameter consists of trade types and delay model.



Instruments are assigned to an Order Book with a pre-determined Trading Cycle

Figure 4 – Technical structure of an instrument on Millennium Exchange

The following section describes the structure components and parameters. All parameters will be available via the Reference Data Service (see Section 2.4). 29

Time Zone •

A Time Zone is attached to each Market



Time is Off Set from UTC

Calendar •

A Calendar is assigned to each Instrument



Pre-define dates when: - Trading Allowed - Settlement Allowed - Early Closing - EDSP Auction Day



Exchange Calendars are: - EQS & ITR only - FTSE100 - FTSE250 only - IOBE (Euroclear) - LSE

Market A Market is assigned to each Instrument: •

2 Markets currently set up: - LSE - European EQS and ITR



Market Start and End Times define their Trading Period

Session Parameters Session Parameters are added to a Trading Parameter and include: - Static and Dynamic Circuit Breakers - Market Order Extension and Duration - Price Monitoring Extensions and Duration - Duration to Auction (amount of time prior to a scheduled auction during which invocation of a circuit breaker would see immediate transition into the following scheduled auction without a return to continuous trading) - Minimum Volume - Allow Orders (None, Aggressive, All types)

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Trading Parameter Trading Parameters are assigned to each Instrument and include: - Tick Tables – This will either consist of fixed price format codes or a dynamic regime. See section 5.5 for further details. - Session Parameters - Order and Quote Parameters - Auction Parameters - Market Data – Opening and Closing Price Calculation - Daily Official List information Trading Cycles These define Period Transition Times (based on the business Sector outlined in section 4.2). Separate cycles created for: - Order Book - Quote Book - Off Book (Trade Reporting) Delay Models •

Delay models are attached to each Post Trade Parameter.



There are two types of Delay Model: - MiFID Delay and Delay Info Models (based on ADT and Currency) - Delay Models (e.g. GILTS), based on a size delay.

Post Trade Parameter •

Post Trade Parameters are added to each Instrument.



They consist of the following Trade Reporting configuration: - Delay Model (can only have one Delay or one MiFID Delay) - Trade Types (in table form) - Price Factor

Much greater detail including all the individual fields can be found in MIT401 Guide to Reference Data Services.

31

4.4. Trading Sessions Although there will continue to be a concept of ‘Period’ (or ‘Sessions’ on Millennium Exchange) the general approach to trading sessions will be simplified. Each instrument will generally follow a simple trading day consisting of an opening auction, continuous trading and a closing auction where applicable. Timings and associated trading parameters will vary according to the market model and will be communicated in due course. Where necessary, the trading day will reflect special conditions such as EDSP auctions, early closing and first day of trading. In addition, and as today, market control actions invoked by the Exchange will potentially override the normal schedule. As an instrument moves from one trading session to another the new Millennium Exchange Information system will disseminate the new status of that instrument via the security status message. Please see MIT302 – FIX/FAST Message Specification and MIT303 – ITCH Message Specification for further information. The following status will be sent: •

Start of Day



Pre Open



Opening Auction Call



Continuous Trading



Pre-Mandatory (quoting)



Mandatory (quoting)



Post-Mandatory (quoting)



AESP (auction call)



EDSP (auction call)



Close (auction call)



Resume (auction call)



Periodic (auction call)



Halt



Suspend



Pause



Halt & Close



Market Close



Post Close

32

4.5. Symbology A new, more efficient, approach will be taken to the identification of trading instruments. The existing TradElect 4 way key will no longer be used as the unique identifier on the Trading System. Instruments must now be identified on trading messages using a unique InstrumentID.7 The InstrumentID will remain constant for the lifetime of the instrument, even if data pertaining to that instrument changes. However participants should note that in some cases an instrument will continue to be deleted and re-added should the ISIN be changed. The Exchange will provide InstrumentIDs via the Reference Data Service. Full details of the interface are specified in MIT401 – Guide to Reference Data Services.

7

Specified in Tag 48 – SecurityID on FIX and Native messages 33

5. Orders and Quotes The majority of trading functionality related to orders and quotes offered by TradElect will continue to be supported by Millennium Exchange. Today, the behaviour of an order or quote is defined by a combination of its Order Type (Market Mechanism on TradElect) and its time in force. This underlying concept will continue to be supported on Millennium Exchange, but with some differences described in the following section. It should be noted that the Order Types are not explicitly stated on FIX and Native messages, but are defined via a combination of tags. Please see the interface specifications for further information.

5.1. Order types All existing TradElect order types will continue to be supported on Millennium Exchange with the exception of Best Bid and Best Offer pegged orders. From the introduction of Millennium Exchange Stop and Stop Limit orders will now be available for SETS, IOB and Securitised Derivatives Trading Services. Table below summarises the differences between TradElect and Millennium Exchange with relation to Order Types supported. Table 3: Order types supported Order Type

Description

Supported on TradElect

Limit Order

A limit order is an anonymous priced order that is fully displayed when persistent in an order book and may execute at prices equal to or better than its limit price. Limit orders never have price priority over market orders

Y

Y

Market Order

A market order is un-priced, and therefore not price forming, but has price priority over all priced orders. Market orders cannot persist on the order book during continuous trading, therefore only market orders with non-persistent time in force can be entered during this period. Persistent market orders can be entered during auctions and will display on the order book during an auction. Any that remain unexecuted following the completion of the auction will be automatically deleted.

Y

Y

34

Supported by Millennium Exchange

Order Type

Description

Stop Limit Orders

A Stop Limit Order is a Limit Order that will remain unelected (will not be entered into order book) until the stop price is reached. Once elected, a Stop Limit Order will be treated similar to a regular new Limit Order.

N

Y

Stop Orders

A Stop Order is a Market Order that will remain unelected (will not be entered into order book) until the stop price is reached. Once elected, it will be treated similar to a regular new Market Order.

N

Y

Iceberg Orders

An iceberg order publicly displays only a portion of its total volume that is available for execution. The maximum displayed amount, known as the peak size, and the total size of the order can be specified by the participant and must be above specified minimums.

Y

Y

Hidden Limit Orders

Non-displayed limit order that on entry must exceed in size the relevant MIN RESERVE ORDER VALUE trading parameter. Unlike TradElect, Minimum Execution Size (MES) is not currently supported on Millennium Exchange

Y

Y

Best Bid / Best Offer Pegged Orders

Not supported

Y

N

Mid Price Pegged Orders

Non-displayed order which must exceed in size the relevant MIN RESERVE ORDER VALUE trading parameter on entry. Its limit updates to the mid of the security’s visible best bid/offer

Y

Y

Named Orders

A named order is a non-anonymous limit order available on certain Trading Services only.

Y

Y

Executable Quotes

Fully visible, electronically executable, named, registered market maker quotes that must meet prescribed size and spread requirements on entry.

Y

Y

Firm Quotes8

Fully visible, non-electronically executable, named, registered market maker quotes.

Y

Y

8

Supported on TradElect

Only available via the FIX Interface 35

Supported by Millennium Exchange

5.2. Order entry fields The following table shows which fields are mandatory and which are optional for a Millennium Exchange Order. Table 4 – Order entry fields

Field

Required

Description

Possible Values

Instrument

Yes

The unique identifier of the security.

Side

Yes

Whether the order is to buy or sell.

- Buy - Sell

Order Type

Yes

the type of the order

-

Market Limit Stop Stop limit Pegged

Time in force

No

The duration the order is valid for.

-

DAY IOC FOK OPG 9 GTC GTD GTT ATC GFA GFX

If the time in force is not stated, the system assumes it to be a DAY order.

Order Quantity

Yes

The quantity being bought or sold. This should be a whole number that is greater than zero.

Disclosed Quantity

No

The maximum quantity, if any, that may be displayed. This should be a whole number. For Iceberg Orders, this will be greater than zero but less than the order quantity. For Hidden Orders, this will be zero. For Limit Orders, this will be the same as Order Quantity.

Price

No

The maximum/minimum price a buy/sell order may be executed at. This value should be greater than zero and a multiple of the instrument’s ‘Tick’. This field is required if the order is a Limit or a Stop Limit Order.

Stop Price

No

The price at which the order may be elected. This value is required if the order is a stop or stop Limit Order. This value should be greater than zero and a multiple of the instrument’s ‘Tick’.

9

Although GTC is technically supported, all current Exchange market models specify a maximum duration for persistent orders of 90 days therefore GTC will not be permitted and the GTD Time In Force should be used 36

Field

Required

Description

Possible Values - Agency - Principal - Riskless Principal

Capacity

Yes

Denotes if the order is entered as an ‘Agency’ (on behalf of a client), ‘Principal’ (own account) or Riskless Principal (own account but on a request of a client)

Expiry Time

Required if time in force = GTT

The time at which an order with GTT order should expire

Expiry Date

Required if time in force = GTD

The date on which an order with GTD order should expire

Trading Party

Yes

The trading party of the order is identified by this field. For Exchange users this will be the trader group

Client Reference

No

This will be the client reference of the order

Clearing Account

Yes

Identifies the clearing account for the order

- Client - House

Pre Trade Anonymity

No

Whether the order is anonymous or named.

- Anonymous - Named

Following tables specify the FIX tags and Native fields that should be used to define each order type. Table 5 – FIX Tags FIX Tag

Order Type Limit Order Market Order Named Limit Order Hidden Limit Order Iceberg Order Mid Price Pegged Order Mid Price Pegged Order with Limit Stop Order Stop Limit Order

10 11

40 OrdType 2 1 2 2 2

1091 PreTradeAnonymity 10

1084 Display Method NA NA NA 4 NA

Y or NA Y or NA N Y or NA Y or NA

1138 DisplayQty TotalQty TotalQty TotalQty 0 11 Peak Size

P

Y or NA

0

4

P 3

Y or NA Y or NA

4 NA

4

Y or NA

0 TotalQty TotalQty / Peak Size / or 0

Absence of this field is interpreted as Anonymous See Millennium Exchange Business Parameters for minimum size 37

NA

Table 6 – Native Fields

Order Type Limit Order Market Order Named Limit Order Hidden Limit Order Iceberg Order Mid Price Pegged Order Mid Price Pegged Order with Limit Stop Order

Order Type 2 1 2 2 2

Stop Limit Order

Native Field Order DisplayQty Sub Type TotalQty 0 TotalQty 0 TotalQty 0 0 0 Peak Size 0

Anonymity 0 0 1 0 0

1

0

5

0

2 3

0 0 TotalQty / Peak Size / or 0

5 0

0 0

0

0

4

5.3. Time in Force All current TradElect Validity types will be supported on Millennium Exchange and mapped to FIX Time In Force (TIF) enumerations. However there are some minor differences in the impact of certain Time in Forces on order behaviour when compared to TradElect: •



• • •



Expiry times can no longer be specified for a GTD order. All orders with a GTD Time In Force will be deleted at the end of trading on the date of expiry (or following business day if a closed date) Any GTT orders with an expiry time during any auction call phase will not be deleted until after uncrossing has completed and are therefore eligible to participate in that uncrossing. To avoid possibility of execution in this scenario, a participant is required to manually delete their orders. Subject to above, GTT expiry times can be specified to the nearest second (TradElect only supports minutes) Orders will only be injected for auctions that day – any orders with a OPG, GFA, GFX or ATC Time In Force will be deleted at the end of day The GTC Time In Force will not be supported for those markets that have maximum order duration. Any GTD order specified with an expiry date greater than that allowed will be rejected as today. During auction call sessions, any order (including market orders) with IOC and FOK TIF will be rejected.

The following table summaries all the Millennium Exchange Time In Forces.

38

Table 7 – Millennium Exchange Time In Force Time in Force

Behaviour

DAY12

Deleted at the end of the day on which it was entered

GTC13

On Book until cancelled by the participant

GTD

Deleted at the end of trading on the day specified in the order. If the specified day is a non-business day then the order will expire before start of trading on the next business day.

GTT

Any GTT orders with an expiry time during any auction call phase will not be deleted until after uncrossing has completed and are therefore eligible to participate in that uncrossing. Ant GTT orders remaining will be deleted at the end of trading day.

IOC14

Executed on entry and any remaining unexecuted volume deleted.

FOK

Executed in full on entry or immediately expired

OPG

15

Injected at start of Opening Auction with any remaining volume deleted after uncrossing. Order rejected if an instrument does not have a scheduled Opening Auction

GFA

Injected at start of the next auction (Opening, AESP, EDSP, and Closing) with any remaining volume deleted after uncrossing. If no auctions in a trading day then deleted after end of trading. Injected at start of EDSP auction with any remaining volume deleted after uncrossing.

GFX Order rejected if there is no EDSP auction scheduled for that instrument on the trading day

ATC

Injected at start of Closing Auction with any remaining volume deleted after uncrossing. Order rejected if an instrument does not have a scheduled Closing Auction

12

Specified as GFD on TradElect Although GTC is technically supported, all current Exchange market models specify a maximum duration for persistent orders of 90 days therefore GTC will not be permitted and the GTD Time In Force should be used 14 Immediate or Cancel – equivalent to Execute and Eliminate on TradElect 15 Specified as ATO on TradElect 13

39

5.4. Order / Time In Force combinations Table below specifies which combinations of Order Type and Time In Force are valid on Millennium Exchange. Table 8 – Order / Time In Force

Order Type Limit Order Market Order Stop Limit Orders Stop Orders Iceberg Orders Hidden Limit Orders Mid Price Pegged Orders Named Orders Executable Quotes

Firm Quotes

DAY Y Y Y

GTC Y Y Y

16

GTD Y Y Y

GTT Y Y Y

Time in Force IOC FOK Y Y Y Y Y Y

OPG Y Y N

GFA Y Y N

GFX Y Y N

ATC Y Y N

Y Y Y

Y Y Y

Y Y Y

Y Y Y

Y Y Y

Y Y Y

N Y Y

N Y Y

N Y Y

N Y Y

Y

N

N

Y

N

N

N

N

N

N

Y Y

Y N

Y N

Y N

Y N

Y N

Y N

Y N

Y N

Y N

Y

N

N

N

N

N

N

N

N

N

Market Orders can be entered with a TIF of GTD or DAY. In this case, they will act as an IOC order on injection, but should the whole order or any remainder following execution be subsequently written to the order book (e.g. it is an auction call) then they will keep the TIF specified on entry

5.5. Price Format Code (“tick size”) The Price Format or tick size is the minimum valid increment in which order and quote prices can be entered and displayed. Each tick size is a numeric amount, representing a multiple of the unit of currency in which the instrument is quoted, and is identified by a single letter price format code. If the price of an order/quote is not a multiple of the tick size on entry it will be rejected. Tick sizes may either be ‘static’ or ‘dynamic’:

16

Although GTC is technically supported all current Exchange market models specify a maximum duration for persistent orders of 90 days therefore GTC will not be permitted and the GTD Time In Force should be used 40

 a static tick size is a single, fixed value applied to all orders / quotes in a specific security until amended by the Exchange;  where a dynamic tick schedule is in place the tick size in operation is determined with reference to the intended price of the incoming order / quote. The tick regime, sizes and the associated price format codes used can be found in the Millennium Exchange Business Parameters document. Tick sizes have no relevance for the price field of manual trade reports.

5.6. Content of quotes Quote size Both the bid and offered size on a quote on entry must be greater than the Exchange Market Size (minimum quote size) for that specific security. For all securities the quote size must be at least 1*EMS. All Firm and Executable Quotes that do not meet at least EMS will be rejected.

Maximum spread The spread between the bid and offer prices must be at least one tick size and no more than the maximum spread specified in the relevant security. When validating maximum spreads the absolute spread (offer less bid) is divided by the mid price of the spread (offer plus bid, divided by 2) to determine a percentage spread which is assessed against the permitted maximum. Executable Quotes that are wider than the permitted maximum spread will be rejected. Details of the maximum spread in place are contained in the Millennium Exchange Business Parameters document.

5.7. Order book priority Millennium operates on a price priority basis. Displayed parts of orders take precedence over non-displayed parts at any price point. With non-display portions of icebergs taking precedence over fully Hidden Orders, which in turn take precedence over Mid Price Pegged orders. With the exception of the non-displayed iceberg orders each category is then prioritised by time submitted to the book. Further explanation for non-displayed part of icebergs can be found in section 6.4.1.

41

6. Order Behaviour Generally, orders and quotes will be handled identically on Millennium Exchange to TradElect (including Order Price validation). However customers should note the following differences that are described in more detail in the following sections: • • • • •

Change to behaviour of Mid Price Pegged orders Support for Stop and Stop Limit Orders Minor changes to the way priority and executions are handled for hidden and iceberg orders within the same price point Change to Order Management Specification of a Standing value for Settlement Account

6.1. Mid Price Pegged Orders On TradElect where Mid Price Pegged (MP) orders have a limit price and it breaches the Best Bid and Offer (BBO) it is treated as a hidden order with a limit price. On Millennium Exchange, if a limit price is specified for a MP order and the limit price is breached, either on entry or whilst the order is persisting on the book then the order will be deleted. Likewise where there is no BBO on Millennium Exchange, existing MP orders are deleted and further MP orders are rejected on entry.

6.2. Stop and Stop Limit Orders Definition of Stop and Stop Limit Orders A Stop Order is a Market Order that will be parked until the stop price is met. At this point, the order is injected into the order book as a ‘regular’ un-priced market order e.g. does not persist on the book, and should be entered with an IOC or FOK Time In Force. A Stop Limit Order is a Limit Order that will be parked until the stop price is reached. At this point the order is injected into the order book as a ‘regular’ limit order.

42

Stop and Stop Limit Orders will only be injected onto the book during continuous trading. If an expiry time is specified for a Stop order whilst parked then it will be deleted without being injected onto the book. Participants may modify Stop and Stop Limit orders whilst parked. The order Time In Force is generally applied once the order is injected. However, participants should note that only specified Time In Force are supported, depending on the trading phase. Any Stop or Stop Limit orders entered with a Time In Force that is not supported will be rejected. Table 9 – Stop and Stop Limit order Time In Force

Time In Force

Valid during Auction Calls17

Valid during Continuous Trading

DAY

Y

Y

GTC18

Y

Y

GTD

Y

Y

GTT

Y

Y

IOC

N

Y

FOK

N

Y

OPG

N

N

GFA

N

N

GFX

N

N

ATC

N

N

If a Stop Limit order is entered with a TIF of FOK or IOC, and it cannot be injected onto the book at entry, it will be rejected. Stop Orders with a TIF other than FOK act as IOC orders on injection to the book and any remainder following execution subsequently cancelled.

Injection Rules for Stop and Stop Limit Orders 17

Stop and Stop Limits can be entered during an auction call but are only injected at the start of the next continuous trading phase 18 Although GTC is technically supported all current Exchange market models specify a maximum duration for persistent orders of 90 days therefore GTC will not be permitted and the GTD Time In Force should be used 43

Stop and Stop Limit orders are injected on the basis of the last automated trade price (including Uncrossing Trades) • •

Stop and Stop Limit buy orders will be injected if the last traded automated trade price is equal or greater than the stop price Stop and Stop Limit sell orders will be injected if the last traded automated trade price is equal or less than the stop price

An incoming Stop or Stop Limit Order will be injected on entry if the stop price is already reached. If there has been no automated trading on the day of entry then any incoming Stop or Stop Limit order will be parked. After the Closing Auction Stop and Stop Limit Orders will be injected on the basis of the uncrossing price but will not be eligible for execution until the next day. If multiple Stop and Stop Limit Orders are injected onto the book then the order of injection will be based on the stop price value and time of entry. • • •

Eligible Stop and Stop Limit buy orders with the lowest stop price will be injected first. Eligible Stop and Stop Limit sell orders with the highest stop price will be injected first. Stop and Stop Limit Orders at the same stop price are injected based on time priority.

After uncrossing, order of injection will be as follows: • • •

Orders will be injected in terms of the difference between their stop price and the auction price. The buy or sell order with the greatest difference between its stop price and the auction price will be injected first. If multiple orders are at the same difference (buy and sell), the oldest order will be injected first.

44

6.3. Iceberg Orders Conceptually the peak (display) quantity of iceberg orders will continue to be managed in the same way as for TradElect i.e. once the peak has been fully executed the peak is refreshed in size back to the display quantity. Today, if there is more than one iceberg order at the same price point, and an incoming order is sufficiently large to execute against multiple peaks TradElect will ‘cycle’ through each peak in turn following time priority. If necessary, once all peak volume has been exhausted then each peak will be refreshed and cycling continues until all incoming volume, or all volume at that price level is exhausted. However equivalent executions will be handled differently on Millennium Exchange: •

If the incoming order is sufficiently large then each peak will be executed against in time priority as today. However, once peak volume of all iceberg orders at a price level has been fully executed then any remaining incoming volume is allocated to the hidden volume of each iceberg order pro-rated on the remaining size of each iceberg order.



Any remaining incoming volume is then allocated to any fully hidden orders before moving to the next price level. The total volume (hidden and visible) of an iceberg order always has a higher priority than fully hidden orders at the same price level.



If the total volume of an iceberg order is partially filled then participants will receive two executions – one for the visible, and one for the hidden volume. However, if the total volume of the iceberg is fully executed against then participants will receive a single execution report that combines both visible and hidden volumes.

This new approach will apply to both Continuous Trading and Auction executions and is illustrated conceptually below. Order sizes are for illustrative reasons only and do not reflect any actual configuration or market model.

45

Figure 5 – Iceberg Order Execution

Aggressing Order

30,000

A

16,000

7,000

Visible – Iceberg Peak

B

12,000

4,000 Hidden Volume

C

D

22,000

6,000

18,000

3 Iceberg Orders (Orders A, B ,C) 1 Hidden Order (Order D) ALL Orders are at the same Price Point Incoming Order, Size 30,000 aggresses against this Price Point All Iceberg Order Peaks execute: Order A: 7,000 Order B: 4000 Order C: 6000 Total Hidden Iceberg Order Volume = 50,000 Remaining aggressing volume = 13,000 which is allocated to the hidden Iceberg Order Volume as follows. Order A: 16/50 x 13,000 = 4160 Order B: 12/50 x 13,000 = 3120 Order C: 22/50 x 13,000 = 5720 No aggressive volume remains, so Hidden Order D is not executed against. Would only execute if incoming Order > 67,000

6.3.1. Modification of an Iceberg Order When modifying an Iceberg order a participant must submit both a value for Order quantity and Disclosed quantity. If the latter is set to a quantity greater than the actual visible peak of that order on receipt by the trading system, the order will lose time priority.

46

6.4. Order management 6.4.1. Order modification The following aspects of orders present in Millennium Exchange, whether parked or in the order book, may be updated by participants:  order size  order price (where applicable)  date and time validity (where applicable)  client ID Modifications of an order may result in a change in its price and/or time priority and public order code as set out in the table below. Table 10: impact of order modification on order priority Modified field

Modification Iceberg orders increase in order quantity but display quantity not increased

Impact on priority

Increase other orders

Loses time priority

Decrease

No impact

Improve

Gains price priority Loses time priority

Worsen

Loses price priority Loses time priority

Date and time validity

Any change

No impact

Client ID

Any change

No impact

Order size

Order price

No impact

6.4.2. Exchange deletion of orders Under certain circumstances orders will now be deleted on Millennium Exchange without a corresponding confirmation being sent to participants by the Exchange. These are described below. • • •

19

On the last day of trading in an instrument if any orders reside on the book Outside regular trading hours due to a reference data change e.g. if a clearing arrangement is no longer valid19 Following loss of the Primary Site (see Section 10)

This will be under exceptional circumstances 47



Partial loss of a Matching Engine requiring the Exchange to re-start processing from a previous known point.

In all cases participants should request an Own Order Book Download to confirm the current state of the order book. 6.4.3. Authorised Persons List (Exchange Rule 1500) The Exchange maintains a list of personnel at a member firm who are authorised to request the Exchange to delete live orders from the trading system on their behalf in the event of a system problem which prevents them from accessing the order book. If you require confirmation of who is currently authorised, please contact Market Operations: • [email protected] • STX 33666 / telephone + 44 (0) 20 7797 3666 (option 1) 6.4.4. Market Orders and first day of trading On the first day of trading in an instrument, if there are only Market Orders on the book at the opening uncrossing, then no execution will occur and any Market Orders will be deleted after the auction. For all other days where only Market Orders exist on the order book, they will execute at the previous closing price. 6.4.5.

Specifying ClOrdID

Participants should ensure that ClOrdID is unique for a trading day across a CompID / TraderGroup and for the life of an order. For performance reasons MIT Exchange will not carry out any duplicate detection based on ClOrdID. Should a participant resend an order with the same ClOrdID that has previously been used then it will be processed. In this situation and to guarantee that orders can be successfully managed it is recommended that customers use OrderID when modifying active orders. Participants should also ensure that their ClOrdIDs are unique across trading days (e.g. embed the date within the ClOrdID).

6.5. Standing Value The 'Standing' value for Settlement Account Type will no longer be supported by the Exchange. As today, when the Account Type is mandatory for a market, it must be specified as either 'Client' or 'House' on all orders.

48

7. Order Book Execution Order books can be subject to rapid price movements. Millennium Exchange operates price monitoring functionality that tracks the prices at which automatic executions are due to occur and will halt continuous trading / delay an auction execution if certain price movement tolerances would be breached. The presence of price monitoring functionality in Millennium Exchange does not remove the requirement for participants’ systems to have adequate safeguards in place to avoid erroneous order inputs.

7.1.

Auctions

Auctions are intended to concentrate liquidity at these specific key times. Auctions occur as follows: •

the Exchange’s order book trading day commences with an opening auction



if a security in continuous trading breaches its price monitoring it will enter an auction call period



the closing price is generated from the closing auction process



FTSE 100 securities have an expiry auction at 10:10 on the third Friday of the month and FTSE 250 securities an expiry auction on the third Friday of March, June, September and December

At the commencement of an auction call, all orders that have been parked for that specific auction will be injected immediately. Orders may be entered, modified and deleted during an auction call, (along with any extensions and random periods) but no automated execution occurs. Throughout the entire period the Exchange disseminates the most up to date indicative auction price and uncrossing volume. This will be updated whenever orders are added, deleted, modified and result in a new auction price / volume. Before an auction generates an execution it will check whether: •

a market order extension should be invoked;



whether a price monitoring extension should be invoked; and



whether any volume check prevents the execution taking place.

To avoid participants knowing the exact time of uncrossing a configured random period precedes invocation of each extension and the final uncrossing.

49

7.1.1. Market order extension A market order extension is triggered when at the end of the call period (or any preceding auction extension period) the indicative auction match price would result in market orders (un-priced) remaining unexecuted on the order book. The market order extension consists of an extension to the call period of a configurable amount of time. 7.1.2. Price monitoring extension A price monitoring extension is triggered when at the end of the call period (or any preceding auction extension period) the indicative auction match price is greater than a configured tolerance away from the dynamic reference price (see below). The price monitoring extension consists of an extension to the auction call period of a configurable amount of time. The extra time a price monitoring extension provides draws attention to a potential price movement, giving participants the chance to review the prices of the orders that have been entered and if appropriate add, delete or amend. 7.1.3. Uncrossing algorithm The execution price generated for an auction will be the price that:  maximises the executable volume; and  if more than one execution price would result in the same executable volume, minimises the surplus volume at the execution price; and  if more than one execution price would result in the same surplus volume at the execution price, reflects the balance of pressure on the order book; and  if the balance of pressure on the order book is even, reflects the reference price in the security; and  if there is no reference price, is the lowest price.

7.2.

Continuous trading price monitoring

If the price of a potential execution is more than a defined percentage above or below the applicable reference price(s) then no executions at that price will occur. Instead automatic execution will be temporarily suspended and an auction triggered, to allow the security’s price to re-form in an orderly fashion and then be returned to continuous trading as above. If the automatic execution suspension period is triggered mid way through the execution of a persistent order, any residual volume is added to the order book.

50

Non-persistent orders of Time In Force fill or kill (FOK) that would breach a price monitoring threshold will be rejected and no automatic execution suspension period will occur. Non-persistent orders of Time In Force immediate or cancel (IOC) that will breach a price monitoring threshold will result in executions up to but not including the first price that breaches the threshold, an automatic execution suspension period being triggered and all remaining volume being eliminated. In continuous trading 2 reference prices are relevant: •

the dynamic reference price is the last order book execution price (or previous closing price if more recent) prior to the submission of the incoming order; and



the static reference price is the most recent auction price from the current day. Where the most recent auction did not generate an execution, it will instead be the first automated trade that followed the previous auction period..

The Exchange may also set reference prices manually if required. This may be done for a new instrument or following a transfer to a new segment or corporate action. Figure below shows how a dynamic reference price will generate a suspension according to the price of the incoming order Figure 5 : Illustration of breach of price tolerance level

7.3.

Detailed thresholds

The number, duration and thresholds applicable to auction calls, market order, price monitoring and random periods continue to be managed from a business perspective at trading sector level. Generally, more liquid securities have lower thresholds and less liquid securities have higher thresholds. These thresholds are set out in full in the Millennium Exchange Business Parameters document.

51

7.4. Contra of automatic trade reports (Exchange Rule 2110) A contra may be requested by one party to an automatic trade. For electronic executions in CCP securities, due to counterparty anonymity, agreement to contra can only be secured by the Exchange’s Market Supervision team intermediating. For non-CCP executions the member firm may contact its counterparty directly. Member firms are under no obligation to contra a trade at the request of a counterparty. Same day contras The party wishing to contra the trade must submit a contra request to the Exchange using the cancel trade message. On receipt of a request, Market Supervision will contact the requesting party to ascertain the reasons for its submission. Market Supervision may then contact the matched buyer or seller to pass on the contra request from the initiator. If the other party agrees to the reversal of the trade it must itself submit a contra request. Once a contra request has been received from both parties a delete trade report is generated. Contra after trade date Contra request messages will not be accepted by Millennium Exchange after the trade date. Should a member firm wish to reverse a trade after that date it should contact Market Supervision on STX 33666 (+44 20 7797 3666) option 2, who will liaise between the two counterparties and advise whether each party is prepared to drop its anonymity and contra the trade. Any contra trade resulting from the request will be published to the market using manual trade type PC as an exact reversal of the original trade. The responsibility for submitting the contra trade report should be in accordance with standard manual trade reporting responsibilities as laid by the Rules of the London Stock Exchange. This PC trade should be settled bilaterally by the two parties to economically reverse the original AT that will clear and settle as normal.

7.5. Use of trade identifiers for transaction reporting Millennium Exchange generates a number of execution identifiers that are included on the Execution Report sent to participants following an automatic trade. However, only the Trade ID (Fix Tag 880 - TradeMatchID) is guaranteed to only consist of upper case characters and digits. Customers should be aware of this if they wish to use one of these identifiers as a UTRF (Unique Trade Reference) on transaction reports submitted via a reporting ARM where there may be restrictions to the character set supported. 52

8. Off Book Trade Reporting 8.1. Trade reports (Exchange Rule 3040) Trade reports are automatically generated by Millennium Exchange for electronic executions on an order book. Where the trade is executed away from an order book (but possibly still in an order book security) a ‘manual’ trade report must be submitted to Millennium Exchange in order to bring the execution ‘on Exchange’. Manual trade reports can also be submitted to the Exchange in its capacity as an OTC or Systematic Internaliser trade reporting venue. Participants define the status of their manual Trade Report through the use of Trade Type. Currently only a single sided manual trade reporting model is supported by the Exchange. One of the two parties who participated in the trade will report both sides of the trade to the system. The trade will be reported using the Trade Capture Report (AE) message. Upon receiving the trade report, the system will validate the trade report and will acknowledge or reject the trade report. The acknowledgement/rejection will be reported to the initiator and the counterparty through Trade Capture Report Ack (AR) message. Each trade that is being reported will have the information as set out in Table 3 below.

Table 11 – Off Book trade report fields Information

Fix Field

Symbol

Symbol (55)

Trade type

TradeSubType(829)

Price in currency for Symbol as per trading system

LastPx (31)

Size

LastQty (32)

Optional currency if not currency for Symbol as per trading system

SettlCurrency(120)

Optional price if execution currency not same as currency for Symbol as per trading system

Original Price(20100)

Settlement date

SettleDate (64)

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Information

Fix Field

Size anonymity

Not valid for Exchange users

Date / time of trade execution

TransactTime (60)

Reporting party

PartyId (448)

Contra party

PartyId (448)

Reporting trader

PartyId (448)

Capacity of the trade

OrderCapacity (528)

House/Client

AccountType (581)

Bargain Condition

TrdType (828)

The Millennium Exchange Business Parameters Document sets out: • • • • • •

the operation hours of the trade reporting system the different manual Trade Types and the trade condition available which counterparty is responsible for trade reporting the mapping of trade types to Execution Venue (Venue ID), which publishes to show where the trade was executed the manual price validation in operation the publication delay that is permissible

Trade reports are published in accordance with the trade type selected and the publication criteria in operation for the relevant security. Executions that do not qualify for a delay will publish immediately regardless of the trade type selected. 8.1.1. Dealing capacity (Exchange Rule 2102) The Dealing Capacity (either “A” for agent or “P” for principal) must be specified on any trade report submitted by a participant. The counterparty’s capacity must not be included, otherwise the trade report will be rejected. 8.1.2. Other trade report criteria The Trader Group must be specified on the Trade Report. Once a trade is confirmed and has entered a delay period, the reporting party can initiate a pre-release request to publish the trade prior to the delay period. All trade reports must be submitted with the price specified in the trading system currency for that instrument. However, if the trade was executed in an alternative currency, then this may optionally be specified on the trade report20 together with the original price in that alternative currency. Where a trade is done in an alternative currency and this reporting option has not been followed it must instead be reported

20

Specified in Tag 120 - SettlCurrency 54

with a reporting condition21 of “Special-Priced Trade” (as well as the price in the trading system currency for that instrument).. A full description of Trade reporting messaging is provided in MIT204 - Post Trade Gateway Specification.

8.2. Amending / cancelling manual trade reports The Rules of the London Stock Exchange require trade reports containing inaccurate data in certain fields to be promptly corrected. Off order book trades may be cancelled by mutual agreement between the counterparties and the associated trade report should be cancelled. Trades are only retained on the trading system up to and including the day of publication. The process for cancelling or correcting a trade report therefore depends on the day the trade is due to publish. When submitting an amendment before or on the day the trade is due to publish the process is: •

cancel the original trade report by submitting a cancellation message using the original trade code;



if correcting, submit a new trade report containing the corrected details.

When submitting an amendment after the day of publication the process is:

21



submit a new trade report with trade type indicator ‘LC’ containing the details of the original (incorrect) trade report. Please note LC trade types publish to the market;



if correcting, submit a new trade report containing the corrected details.

Tag 828 - TrdType 55

9. Additional Services The following additional services, not core to any specific trading functionality, will continue to be supported.

9.1. Drop Copy Millennium Exchange will provide functionality to support sponsored access – specifically ‘Copy To’ functionality by which a copy of Execution Reports generated by one trading user can be sent to a separate drop copy user, who does not have to necessarily be within the same firm. However, since only Execution Reports will be sent by Drop Copy, it should be noted that quotes are not supported. A trading party may request a copy of all the order related execution report messages generated by the trading system for another trading user (parties) of the same firm or another firm if configured. Full details of the Drop Copy Interface are given in MIT205 - Drop Copy Gateway Specification

9.2. Own Order / Trade Book Download Millennium Exchange will continue to support both the Own Order Book Download and Own Trade Book Download services. Own Trade Book Download will only include those trades that have occurred, have been published or are pending publication on the day of the request. The Own Order Book Download will be supported via the Drop Copy Gateway. In response to a request (sent via a Mass Order Status Request message) sent by a participant the gateway will return an Execution Report for each active order. The Own Trade Book Download will be supported via the Post Trade Gateway. In response to a request (sent via a Trade Capture Report Request message) sent by a participant the gateway will return a Trade Capture Report for each trade22 that has occurred that day for the Firm. It is possible to configure so that download is restricted to pre-assigned specific FIX CompIDs. Full details of the Own Order Book Download service are given in MIT205 - Drop Copy Gateway Specification Full details of the Own Trade Book Download service is given in MIT204 - Post Trade Gateway Specification.

22

Participants can request automatic, off-book, cancelled or all trades 56

10.

Recovery Model

The transition to Millennium Exchange will introduce a new recovery model in case of serious incident. This is described below.

10.1. Connection A new recovery model will be introduced alongside Millennium Exchange. Each participant connection (identified by CompID) will be enabled for access to the trading system via a Primary and Secondary Gateway for each interface: • • • •

FIX Trading FIX Post Trade (2 connections , one for Post Trade, one for OTBD) FIX Drop Copy (2 connections , one for Drop Copy, one for OOBD ) Native Trading (2 connection, one for real time messages, and one for recovery)

10.1.1. FIX Recovery One of the pair of Gateways will be designated the Primary, and the other Secondary. In the event of failure of the Primary Gateway participants should connect / logon via the Secondary gateway. Any attempt to logon to the Secondary gateway outside of any failure event will be refused. In case of unexpected disconnection from the Primary Gateway participants should attempt to re-connect to the Primary Gateway a total of three times, with 3 seconds between each attempt before attempting to connect the Secondary Gateway. Likewise, if there are further issues in connecting to the Secondary Gateway a total of three connections, with 3 seconds between them, should be attempted. After six failed connection attempts (three on each Gateway) this may indicate a serious issue and the Exchange should be contacted for guidance. Both Primary and Secondary Gateways are duplicated at the Disaster Recovery Site.

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10.1.2. Native Recovery Customers will be allocated two Gateways, one designated as the Primary and one as the Secondary. Although connections to the Secondary will be permitted customers should avoid unnecessary connections to the Secondary Gateway to guarantee the maximum performance. In case of unexpected disconnection from the Primary Gateway then participants should connect to the Secondary Gateway. Both Primary and Secondary Gateways are duplicated at the Disaster Recovery Site.

10.2. Disaster recovery site Millennium Exchange will operate in cold standby mode. In the event of total loss of the Primary Site the Exchange will activate the Disaster Recovery Site. This procedure is expected to take in the order of 2 hours. In the event of disaster then only those trades that have been sent to participants via a Trade Capture Report from the Post Trade Gateway can be guaranteed to have been sent to clearing and settlement (if applicable). Participants should disregard any trades for which only an Execution Report has been sent. Once the Disaster Recovery Site is active then all order and quote books will be cleared down and the trading system re-started. Participants should note that no updated Execution Reports will be sent identifying those orders that have been deleted. Following this, participants will be asked to connect to the Disaster Recovery Gateways. As per the current procedure, order book securities will be reinstated in an auction call state. Securities for which this is not applicable (including non-order book securities) will be reinstated to a Pre-Mandatory Trading Session. Following recovery to the Disaster Recovery Site it is recommended that all participants should: • •

Carry out an Own Trade Download to confirm which trades have been sent to clearing and settlement Carry out an Own Order Book Download to confirm that no orders are currently active.

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10.3. Exchange market intervention When a system issue impacting a wide sector of the market is identified, the Exchange will undertake an initial assessment of its severity and impact on its Trading Services. The Exchange has a number of actions it can take that will be enforced at instrument, trading segment, trading cycle, matching engine partition or if necessary whole market level. Section 11 sets out the Exchange’s Protocol for the management of service interruptions. 10.3.1. Live Service Portal The current system status of the Exchange’s services are displayed on its Live Service Portal. This is the mechanism for the Exchange communicating any market intervention actions it takes as result of a service interruption. Participants can also register to receive both SMS text and E-mail notification of status changes of the portal which can be found at: http://liveservice.londonstockexchangegroup.com/en/

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10.3.2. Market situation options (Exchange Rule 1520) Table 12: Overview of different intervention options Exchange may take Title

Regulatory Suspension

Pause

Halt

Market / Partition Suspension

Halt & Close

Overview

Impact Orders / quotes automatically deleted Usually enforced at a security level No order / quote entry or deletion as result of the temporary removal No automatic execution of the issuer’s primary listing / No indicative uncrossing prices admission Closing prices frozen and disseminated Can enter / delete orders / quotes Short term interruption of continuous execution which can be No automatic execution imposed at Instrument / Segment / No indicative uncrossing prices Trading / market level No impact on closing prices Interruption of continuous trading No order / quote entry Deletion allowed and no further order entry which No automatic execution can be imposed at Instrument / Segment / Trading Cycle / market No indicative uncrossing prices level No impact on closing prices Total lockout - messages rejected at Trading Gateway(s) Market or Partition wide No order or trade report entry or deletion suspension of automatic trading No execution and quote dissemination No indicative uncrossing prices No impact on closing prices Continuous trading disabled and No order / quote entry closing prices issued. Very unlikely Deletion allowed that there will be further automated trading that day. Can be imposed No indicative uncrossing prices at Instrument / Segment / Trading Closing prices frozen and disseminated Cycle / market level

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11.

Service Interruptions Protocol

The term “outage” is used in this section to describe a significant, unforeseen interruption to the Exchange’s customer facing critical IT systems – usually the trading or market data systems. Outages may result from either technological failure or from a physical security/safety issue and will vary in length and severity of impact on the market and its participants. When an issue is sufficiently serious to constitute an outage, the Exchange will endeavour to follow this outage protocol in its handling of the situation. This protocol should be read in conjunction with the Recovery Model section of this document. For market data information please see MIT302 (FIX/FAST) and MIT303 (ITCH).

11.1. Overarching Principles In managing outages the Exchange will seek to act in the interests of all market participants and of the wider market. The Exchange will generally seek to keep its markets open even if it has serious system issues. However, if the Exchange considers the orderliness or fairness of our markets and/or the wider market to be impaired by the incident then the Exchange will intervene to pause, halt or suspend the affected market(s). The Exchange always welcomes feedback from market participants that have been affected by outages – this will be used to improve the handling of any subsequent incidents and to amend this protocol as necessary.

11.2. Different Types of Outage Since outages can be caused by a variety of different situations it is difficult to be specific or prescriptive about how any particular situation will be managed. Some examples of the causes of outages are: •

Failure/malfunction of significant components of the trading system.



Sustained or repeated loss of connectivity between customers’ systems and the Exchange’s systems.



Major delays or gaps in the dissemination or receipt of market data.

The Exchange will use its judgement to decide how best to manage any particular outage and is mindful of the fact that many but not all market participants are now able to trade securities on other trading venues.

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11.3. Assessment & Response The Exchange has a comprehensive internal escalation process to identify and manage its system issues. Most of these system issues are very minor and are entirely invisible to market participants. However, in the unfortunate event that we experience a major service interruption (an outage) we will invoke our incident management procedures and form an incident management team, which is responsible for deciding on the appropriate response to the outage. Please refer to Section 10 of the Guide to the New Trading System for further information. Rule 1520 of the Rules of the London Stock Exchange also provides some additional guidance on the Exchange’s use of market interventions. In the event of an incident, the Exchange’s Live Service Portal will commence operation (see section 10.3.1). Upon invocation, the Live Service Portal will automatically disseminate both an email and SMS alert to registered clients. This automated alert will refer clients to the Live Service Portal and it should be used as the primary source of information until complete resolution of the outage is achieved. Participants may also continue to use their existing account manager contacts at the Exchange during such outages.

11.4. Market Interventions Once an outage has been identified the Exchange will undertake an initial assessment of its severity and the likelihood of an immediate resumption of service. If a resumption of service is not imminent then the incident management team is likely to decide to intervene in the affected market(s). The following are the main market intervention options, one or more of which are then likely to be implemented: 11.4.1. Pause If an immediate resumption of service is thought unlikely the Exchange will place the affected market(s) in a Pause state while its assessment of the situation continues. This state is similar but not identical to an intraday auction phase, in that order entry and deletion is possible and updates to the order book are disseminated. However, unlike an auction, no indicative uncrossing price is disseminated when the market is in Pause state. In addition, the instrument status will be updated to reflect the Pause state. The Pause state should generally not last more than 20 minutes from the point it is invoked. If it appears to the Exchange that the outage will not be resolved within that 20 minute period the Exchange will usually proceed to either Halt or Suspend the affected market(s).

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11.4.2. Halt If the Pause state has continued for 20 minutes or is no longer appropriate (or the Exchange specifically wishes to prevent further order entry) then it will place the market in a Halt state, which does not allow the entry of new orders. The order book will continue to update when orders are deleted. 11.4.3. Market / Partition Suspension If the Exchange determines the outage is likely to be very severe or long-lasting and particularly if it wishes to suspend all order entry and deletion, then a Suspension/System Halt will be invoked at either Market or Partition level. For the securities impacted, no best price will be disseminated and the order book will remain static. 11.4.4. Halt & Close This state will be used if the Exchange concludes that there is no prospect of trading resuming on the trading day of the outage. A closing price for the affected securities will be set and disseminated. The affected security(ies) will not then reopen until the next trading day.

11.5. Alternative Site Procedures If the outage relates to a hardware failure or environmental incident in the Exchange Primary Data Centre, the incident management team may decide to invoke the secondary site in order to utilise the Exchange’s backup hardware at the Secondary Data Centre. The likely delay between the invocation of the secondary site and restoration of trading is difficult to forecast exactly but is likely to take in the region of 2 hours. Once trading resumes at the Secondary Data Centre, the Exchange’s electronic order books will be wiped clean and participants are encouraged to perform an own order book download in order to prepare themselves for the resumption of trading. Importantly, if there has been a significant interruption of service (defined by whether the incident team has been deployed) the Exchange will always restore trading using an auction where at least 20 minutes notice of uncrossing will be given. The Exchange undertakes regular tests of its secondary site procedures in order to check the technical performance of the system, the readiness of Exchange personnel and to ensure that participants are familiar with the operation of the procedures.

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11.6. Resumption of Trading Once the outage has been resolved by the Exchange, the market will be restored to normal service. Order-driven securities will recommence with an auction call where a minimum of 20 minutes notice of uncrossing will be given. Different markets may enter auction and uncross at different times – the specific auction duration and uncrossing times will be communicated at a market level. Order books will not be automatically cleared down prior to the auction. Quote-driven securities will recommence with a pre-mandatory quote period, with these periods determined according to the specific circumstances of the outage. During an outage all updates on the timetable for the resumption of trading will be posted on the Live Service Portal and disseminated through email/SMS updates.

11.7. Trade Reporting When the trading system as a whole is available but the market has been placed into one of the states detailed in section 11.4 (except Market / Partition Suspension) manual trade reports can still be entered and submitted to the trading system unless the connectivity of the individual firm in question is affected. In the Market / Partition Suspension state, trade reports cannot be submitted for trades in the affected securities. Whilst in the process of invoking systems at the Secondary Data Centre there is no connectivity to the trading system so manual trade reports cannot be submitted, but normal trade reporting service will be resumed once the Secondary Data Centre systems are active. The Exchange will communicate to firms if the publication of trade reports is affected by an outage; firms should note that in such a situation their ability to meet their regulatory obligations to report and publish trades immediately may be affected.

11.8. Closing Prices & Indices In the event of a service interruption, the Exchange has procedures in place to derive closing prices for affected stocks. The Exchange also has contingency procedures for use in the event that an outage affects the FTSE futures expiry auction.

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Table 13: Overview of the different intervention options the Exchange may use.

order book execution

order / quote entry

order / quote deletion

updates to order book displayed

disseminate closing price

suspended

yes

yes

yes

no

manual trade reporting

FIX security status

ITCH symbol status

yes – all securities

• tag 326 = 111

• trading status = I

yes – all securities

• tag 326 = 2 • tag 327 = see MIT302 Appendix B

• trading status = H • halt reason = see MIT303 Appendix A

not in affected securities

• tag 326 = 2 • tag 327 = see MIT302 Appendix B

• trading status = H • halt reason = see MIT303 Appendix A

yes – all securities

• tag 326 = 18

• trading status = c

PAUSE order driven quote driven

n/a

no

n/a

n/a

no

suspended

no

yes

yes

no

HALT order driven quote driven

n/a

no

n/a

n/a

no

MARKET PARTITION / SUSPENSION order driven

suspended

no

no

n/a

no

quote driven

n/a

no

n/a

n/a

no

suspended

no

yes

yes

yes

HALT & CLOSE order driven quote driven

n/a

no

n/a

n/a

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yes

11.9. Communication The Exchange is committed to communicating with customers frequently during an outage and will provide as much information as possible in the circumstances. Given the unpredictable real-time nature of outages it is not possible for the Exchange to guarantee how often communications will be issued but during an outage updates will normally be provided every time the situation changes with a minimum period between updates of 30 minutes. The Exchange has a dedicated Live Service Portal, which was introduced in September 2010 as a replacement for the Incident Website. This portal is the primary means of communicating with market participants and other relevant parties during an outage and allows clients to register for email and SMS service alerts. Updates posted on the Live Service Portal will always include an indication of when the next update will be provided. Currently, both an email/SMS alert and a service announcement will be issued to inform the market that the Live Service Portal is active and should be utilised by all relevant parties. To be added to the Service Announcement distribution list, please email us at: [email protected] When the Exchange places the trading system in Pause, Halt, Market / Partition Suspension or Halt & Close states, this information should be shown on vendor screens with the relevant “Session” indicator and we recommend that firms’ in-house systems are coded to recognise these indicators. Although this information should assist market participants, certain issues may affect the integrity of market data and as a result only the Live Service Portal should be relied upon as definitive for the most up-to-date information.

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Copyright © February 2011 London Stock Exchange Group plc. Registered in England and Wales No. 2075721. London Stock Exchange Group plc has used all reasonable efforts to ensure that the information contained in this publication is correct at the time of going to press, but shall not be liable for decisions made in reliance on it. London Stock Exchange and the coat of arms device are registered trade marks of London Stock Exchange Group plc. London Stock Exchange 10 Paternoster Square London EC4M 7LS Telephone: +44 (0)20 7797 1000 www.londonstockexchange.com 67